Do Proxies for Informed Trading Measure Informed Trading? Evidence from Illegal Insider Trades
利用非法内幕交易的手工数据，检验了多种流动性指标检测知情交易的能力，发现信息短期时绝对订单不平衡和有效价差有效，长期时所有标准指标均不可靠。
Abstract This paper exploits hand-collected data on illegal insider trades to provide new evidence on the ability of a host of standard measures of illiquidity to detect informed trading. Controlling for unobserved cross-sectional and time-series variation, sampling bias, and strategic timing of insider trades, I find that when information is short-lived, only absolute order imbalance and effective spread are statistically and economically robust predictors of illegal insider trading. However, when information is long-lasting, insiders strategically time their trades to avoid illiquidity, and none of the standard measures considered are reliable predictors, including bid-ask spreads, order imbalance, Kyle’s λ, and Amihud illiquidity. Received: March 14, 2019; Editorial decision: February 18, 2020 by Editor Thierry Foucault. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.